They definitely help protect the system, just like the HVAC filter in your house. Some seem to be more prone to catching crud than others... I have noticed some cabin air filters get dirty quickly and others stay clean twice as long. I believe older cars had a screen where the outside air is drawn in through the cowl but an actual cabin air filter is more effective and also works when the system is in recirculate. As others have stated, they probably don't catch the real harmful stuff for health... but they do catch some stuff you'd rather not breathe in if you can help it.
Over the years I have found leaves, mouse nests, and even a dead mouse on the dirty side of cabin air filters. All things that are better off not in the evaporator or heater cores, or other duct work. This is especially true when you consider just how much work it is to get to these parts in a modern car.
Prices can be kind of ridiculous though, especially through the dealer. Better deals can be found online as long as they fit properly. Last time I bought them at the dealer they were $25 which is a bit much, so I'm trying one I bought online for $6. It isn't a critical part like an engine air filter.